You can’t use a single box as you described above. You will need to create a mesh for each wall, the ceiling, and the floor while making sure that they do not overlap (just butted up together).
Do not weld any verts before import, this can cause collision issue with your pawn.
If you have any doors and windows, you will need to create them with multiple meshes and not just cut out the space. Convex collision isn’t supported in UE4. Take a look at the image below, the red boxes are the collision meshes.
